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Convergence of trapezoid rule to rough integrals - MaRDI portal

Convergence of trapezoid rule to rough integrals (Q6187888)

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scientific article; zbMATH DE number 7788710

Language	Label	Description	Also known as
English	Convergence of trapezoid rule to rough integrals	scientific article; zbMATH DE number 7788710

Statements

scholarly article

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Convergence of trapezoid rule to rough integrals (English)

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Annales de l'Institut Henri Poincaré. Probabilités et Statistiques

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publication date

16 January 2024

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full work available at URL

https://arxiv.org/abs/2005.06500

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zbMATH Keywords

limit theorems

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Malliavin calculus

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rough paths

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weighted random sums

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MaRDI profile type

MaRDI publication profile

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Weak symmetric integrals with respect to the fractional Brownian motion

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Iterated Integrals and Exponential Homomorphisms<sup>†</sup>

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A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations

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The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory

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A course on rough paths. With an introduction to regularity structures

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Multidimensional Stochastic Processes as Rough Paths

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A note on higher dimensional \(p\)-variation

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Density bounds for solutions to differential equations driven by Gaussian rough paths

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\(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index

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Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes

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Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions

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Taylor schemes for rough differential equations and fractional diffusions

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Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions

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Large deviations and support theorem for diffusion processes via rough paths.

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First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case

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Discrete rough paths and limit theorems

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Differential equations driven by rough signals

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Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion

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Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)

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The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6

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The Malliavin Calculus and Related Topics

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Forward, backward and symmetric stochastic integration

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Identifiers

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10.1214/22-aihp1282

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6187888

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